Details about Cathy Ning

Access statistics for papers by Cathy Ning.

Last updated 2024-09-06. Update your information in the RePEc Author Service.

Short-id: pni130

Working Papers

2024

1. Extreme risk spillovers between stock and bond markets
   Working Papers, Toronto Metropolitan University, Department of Economics
2. Safe haven currencies: A dependence switching copula approach
   Working Papers, Toronto Metropolitan University, Department of Economics

2014

3. Is Volatility Clustering of Asset Returns Asymmetric?
   Working Papers, Toronto Metropolitan University, Department of Economics
   See also Journal Article Is volatility clustering of asset returns asymmetric?, Journal of Banking & Finance, Elsevier (2015) View citations (28) (2015)

2012

4. Asymmetric Dependence between Aggregate Consumption and Financial Risk
   Working Papers, Toronto Metropolitan University, Department of Economics
5. Asymmetric Dependence in the US Economy: Application to Money and the Phillips Curve
   UiS Working Papers in Economics and Finance, University of Stavanger

2010

6. Asymmetric Dependence in US Financial Risk Factors?
   UiS Working Papers in Economics and Finance, University of Stavanger
7. Modeling Asymmetric Volatility Clusters Using Copulas and High Frequency Data
   Working Papers, University of Waterloo, Department of Economics View citations (2)
   Also in Working Papers, Toronto Metropolitan University, Department of Economics (2009) View citations (1)

2009

8. Extreme Dependence in International Stock Markets
   Working Papers, Toronto Metropolitan University, Department of Economics View citations (12)
9. Segmentation across International Equity, Bond, and Foreign Exchange Markets
   Working Papers, Toronto Metropolitan University, Department of Economics
10. The Dependence Structure of Macroeconomic Variables in the US
    Working Papers, Toronto Metropolitan University, Department of Economics View citations (2)
    Also in UiS Working Papers in Economics and Finance, University of Stavanger (2009) View citations (1)

2008

11. Extreme Return-Volume Dependence in East-Asian Stock Markets: A Copula Approach
    Working Papers, University of Waterloo, Department of Economics View citations (4)
    See also Journal Article Extreme return-volume dependence in East-Asian stock markets: A copula approach, Finance Research Letters, Elsevier (2009) View citations (35) (2009)

Journal Articles

2023

1. Stock–bond dependence and flight to/from quality
   International Review of Financial Analysis, 2023, 86, (C)

2022

2. A new Markov regime‐switching count time series approach for forecasting initial public offering volumes and detecting issue cycles
   Journal of Forecasting, 2022, 41, (1), 118-133

2015

3. Is volatility clustering of asset returns asymmetric?
   Journal of Banking & Finance, 2015, 52, (C), 62-76 View citations (28)
   See also Working Paper Is Volatility Clustering of Asset Returns Asymmetric?, Working Papers (2014) (2014)

2010

4. Dependence structure between the equity market and the foreign exchange market-A copula approach
   Journal of International Money and Finance, 2010, 29, (5), 743-759 View citations (132)
5. The dependence structure between the Canadian stock market and the USD/CAD exchange rate: a copula approach
   Canadian Journal of Economics, 2010, 43, (3), 1016-1039 View citations (33)
   Also in Canadian Journal of Economics/Revue canadienne d'économique, 2010, 43, (3), 1016-1039 (2010) View citations (13)

2009

6. Extreme return-volume dependence in East-Asian stock markets: A copula approach
   Finance Research Letters, 2009, 6, (4), 202-209 View citations (35)
   See also Working Paper Extreme Return-Volume Dependence in East-Asian Stock Markets: A Copula Approach, Working Papers (2008) View citations (4) (2008)

2008

7. Estimation of the stochastic conditional duration model via alternative methods
   Econometrics Journal, 2008, 11, (3), 593-616 View citations (15)
8. Modeling the leverage effect with copulas and realized volatility
   Finance Research Letters, 2008, 5, (4), 221-227 View citations (10)